mu_estim: Wrapper Function for Expected Returns Estimation II

In antshi/auxPort: Auxiliary functions for portfolio optimization

Description

Estimates the expected returns of a dataset according to the user-defined function.

Usage

mu_estim(data, est_type = "SAMPLE", ...)

Arguments

data	an nxp data matrix.
est_type	a character string, defining the estimation method.
...	additional parameters, parsed to estim_func.

Value

a vector of expected returns

Examples

data(sp500_rets)
sp_rets <- sp500_rets[,-1]
sigma_ml <- mu_estim(sp_rets, est_type="SAMPLE")

antshi/auxPort documentation built on Oct. 27, 2020, 1:16 p.m.